Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index
| dc.creator | Coronel-Brizio, H. F. | |
| dc.creator | Hernandez-Montoya, A. R. | |
| dc.date | 2003-12-16 | |
| dc.date | 2004-10-21 | |
| dc.date.accessioned | 2026-07-07T12:06:51Z | |
| dc.date.available | 2026-07-07T12:06:51Z | |
| dc.description | In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results showed that the cumulative distribution function for extreme variations, can be described by a Pareto-Levy model with shape parameters alpha=3.634 +- 0.272 and alpha=3.540 +- 0.278 for its positive and negative tails respectively. This result is consistent with previous studies, where it has been found that 2.5< alpha <4 for other financial markets worldwide. | |
| dc.description | Econophysics paper. 5 pages 4 figures. Rev.Mex.Fis (in press). Updated version: Corrected typos, added references and footnotes | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0312413 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0312413 | |
| dc.identifier | Revista Mexicana de Fisica 51 (1) 27-31 (2005) | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208778 | |
| dc.subject | Other Condensed Matter | |
| dc.subject | Statistical Finance | |
| dc.title | Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index | |
| dc.type | text |